Index Update 28.11.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-11-27 png

index momentum best 50 2015-11-27 png

index momentum worst 365 2015-11-27 png

index momentum worst 50 2015-11-27 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-27 png

Refactored Index Performance

50-day performance, from September 10, 2015 through November 27, 2015:

Equally Weighted Market Cap. Weighted
PSU BANK (EQUAL) +10.68% ENERGY (CAP) +10.44%
ENERGY (EQUAL) +10.51% PSU BANK (CAP) +8.58%
INFRA (EQUAL) +10.04% AUTO (CAP) +7.34%
REALTY (EQUAL) +7.90% CONSUMPTION (CAP) +7.16%
CONSUMPTION (EQUAL) +6.18% FMCG (CAP) +5.90%
FIN SERVICE (EQUAL) +5.16% REALTY (CAP) +4.96%
MIDCAP LIQUID 15 (EQUAL) +4.47% FIN SERVICE (CAP) +4.80%
BANK (EQUAL) +4.21% BANK (CAP) +4.63%
PSE (EQUAL) +4.06% MEDIA (CAP) +4.37%
SERV SECTOR (EQUAL) +3.88% COMMODITIES (CAP) +4.36%
COMMODITIES (EQUAL) +3.85% LIQ 15 (CAP) +3.19%
VALUE 20 (EQUAL) +3.77% VALUE 20 (CAP) +3.01%
CPSE (EQUAL) +3.43% CPSE (CAP) +2.75%
AUTO (EQUAL) +3.17% MIDCAP LIQUID 15 (CAP) +2.58%
METAL (EQUAL) +1.61% PSE (CAP) +2.56%
FMCG (EQUAL) +1.44% SERV SECTOR (CAP) +2.42%
MEDIA (EQUAL) +0.75% QUALITY 30 (CAP) +0.44%
GROWSECT 15 (EQUAL) +0.66% MNC (CAP) +0.11%
QUALITY 30 (EQUAL) +0.54% GROWSECT 15 (CAP) +0.06%
LIQ 15 (EQUAL) +0.37% METAL (CAP) -2.32%
PHARMA (EQUAL) +0.14% IT (CAP) -2.71%
IT (EQUAL) -0.47% INFRA (CAP) -4.01%
MNC (EQUAL) -1.48% PHARMA (CAP) -6.12%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO LONG
7.21
2015-Jan-27
NIFTY BANK SHORT
15.49
2015-Jan-27
NIFTY COMMODITIES SHORT
35.90
2008-Jan-04
NIFTY CONSUMPTION LONG
4.30
2015-Aug-05
NIFTY ENERGY LONG
31.03
2008-Jan-14
NIFTY FIN SERVICE SHORT
13.83
2015-Jan-28
NIFTY FMCG SHORT
8.34
2015-Feb-25
NIFTY INFRA SHORT
55.79
2008-Jan-09
NIFTY IT SHORT
88.35
2000-Feb-21
NIFTY MEDIA LONG
17.55
2008-Jan-04
NIFTY METAL SHORT
68.40
2008-Jan-04
NIFTY MNC SHORT
10.52
2015-Aug-10
NIFTY PHARMA SHORT
16.37
2015-Apr-08
NIFTY PSE SHORT
34.30
2008-Jan-04
NIFTY PSU BANK SHORT
40.16
2010-Nov-05
NIFTY REALTY SHORT
90.89
2008-Jan-14
NIFTY SERV SECTOR SHORT
12.35
2015-Mar-03
Large RS-Spreads are a net positive to active strategies. The past week saw Quality to Price post over +250% and Momentum post over +200% gains since their inception in August 2013.
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Cliff Asness on Momentum Investing

In a wide ranging interview with Tyler Cowen, Cliff Asness discussed momentum and value investing strategies, disagreeing with Eugene Fama, the economics of Ayn Rand, bubble logic etc. The first half of the conversation was mostly about momentum investing and how it works.

Excepts on momentum:

Intro
A momentum investing strategy is the rather insane proposition that you can buy a portfolio of what’s been going up for the last 6 to 12 months, sell a portfolio of what’s been going down for the last 6 to 12 months, and you beat the market. Unfortunately for sanity, that seems to be true.

To some, it’s very intuitive. Just buy what’s going up.

Drawdowns
It has horrible streaks within that of not working. If your car worked like this, you’d fire your mechanic, if it worked like I use that word. I think it is harder than you might guess, even if something works long term, to have it go away because a lot of investors can’t live through the bad periods. They decide why it’s never going to work again at the wrong time.

Why it works
Underreation: News comes out. Price moves but not all the way. People update their priors but not fully efficiently. Therefore, just observing the price move is not going to move the same amount again but there’s some statistical tendency to continue.

Overreaction: People in fact do chase prices.

How to make it work
If you’re going to be momentum, you’ve got to really do it. You’ve got to be disciplined. You’ve got to come in every day, and you’ve got to count on these under- and overreaction things.

Momentum strategies on StockViz

We have been offering the Momentum Theme for more than two years now. It implements a relative momentum strategy where you compare the strengths of a universe of stocks to each other. 2014 returns were +90% and +36% so far this year (Compare.)

This year, we have introduced Velocity – an absolute momentum strategy – and Acceleration – a strategy that tracks changes in momentum.

If you are interested in momentum investing, please get in touch with us!

 
Source: A Conversation with Cliff Asness
Related: Small Cap Momentum Style Fund

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Weekly Recap: Selective Memory

world.2015-11-13.2015-11-20

Equities

Major
DAX(DEU) +3.84%
CAC(FRA) +2.14%
UKX(GBR) +3.54%
NKY(JPN) +1.44%
SPX(USA) +2.85%
MINTs
JCI(IDN) +1.98%
INMEX(MEX) +2.60%
NGSEINDX(NGA) -2.46%
XU030(TUR) -1.54%
BRICS
IBOV(BRA) +3.25%
SHCOMP(CHN) +1.39%
NIFTY(IND) +1.21%
INDEXCF(RUS) +5.70%
TOP40(ZAF) +2.14%

Commodities

Energy
Brent Crude Oil +2.06%
Ethanol +1.35%
Heating Oil -1.43%
Natural Gas -8.15%
WTI Crude Oil +2.45%
RBOB Gasoline +4.01%
Metals
Silver 5000oz +0.00%
Gold 100oz +0.15%
Copper -5.56%
Palladium +4.18%
Platinum -0.94%

Currencies

USDEUR:+0.78% USDJPY:-0.05%

MINTs
USDIDR(IDN) -0.45%
USDMXN(MEX) -1.02%
USDNGN(NGA) +0.76%
USDTRY(TUR) -1.18%
BRICS
USDBRL(BRA) -3.21%
USDCNY(CHN) +0.17%
USDINR(IND) +0.15%
USDRUB(RUS) -3.26%
USDZAR(ZAF) -3.01%
Agricultural
Cattle -0.80%
Lumber +0.68%
Wheat -1.47%
Cocoa +0.26%
Coffee (Robusta) -0.70%
Soybeans -0.32%
Sugar #11 +1.86%
White Sugar +4.94%
Corn +1.32%
Feeder Cattle -6.95%
Soybean Meal -1.84%
Coffee (Arabica) +9.60%
Cotton -2.69%
Lean Hogs +5.30%
Orange Juice -2.26%

Credit Indices

Index Change
Markit CDX EM +0.61%
Markit CDX NA HY +0.54%
Markit CDX NA IG -1.51%
Markit iTraxx Asia ex-Japan IG +2.39%
Markit iTraxx Australia +2.61%
Markit iTraxx Europe -3.07%
Markit iTraxx Europe Crossover -11.47%
Markit iTraxx Japan +3.63%
Markit iTraxx SovX Western Europe -0.51%
Markit LCDX (Loan CDS) +0.00%
Markit MCDX (Municipal CDS) -0.75%
It was a good week for the markets over all. Risk was firmly ON and most markets rallied. The market is expecting a US Fed December liftoff. The USD continued to rally against other major currencies, European bonds dipped in negative-yield territory on rumors of more ECB QE and oil dipped bellow $40 a barrel.

International ETFs (USD)

global.etf.performance.2015-11-13.2015-11-20

Nifty Heatmap

NIFTY 50.2015-11-13.2015-11-20

Index Returns

For a deeper dive into indices, check out our weekly Index Update.
index.performance.2015-11-13.2015-11-20

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +2.00% 66/65
2 +5.28% 70/60
3 +2.36% 65/65
4 +2.32% 74/57
5 +1.82% 68/62
6 +2.32% 69/61
7 +1.76% 69/62
8 +1.65% 63/67
9 +1.54% 70/60
10 (mega) +0.95% 66/65
What? Me Worry?

Top Winners and Losers

PETRONET +7.70%
CROMPGREAV +9.11%
GAIL +23.95%
PFC -5.31%
AXISBANK -5.18%
INFY -4.40%
What happened to AXISBANK? Its down more than 30% since March this year…

ETF Performance

INFRABEES +1.67%
CPSEETF +1.59%
JUNIORBEES +1.43%
PSUBNKBEES +1.21%
NIFTYBEES +0.97%
BANKBEES +0.81%
GOLDBEES +0.26%
Given gold bonds, will GOLDBEES continue?

Yield Curve

yieldCurve.2015-11-13.2015-11-20

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 +0.04 +0.05%
5 10 +0.04 -0.05%
10 15 +0.03 -0.10%
15 20 +0.05 -0.26%
20 30 +0.02 -0.11%
Bond yields widened – is it the pay-commission effect?

Investment Theme Performance

Magic Formula +2.61%
Financial Strength Value +2.51%
Next Trillion +2.37%
ASK Life +2.06%
Momentum +2.02%
PPFAS Long Term Value +1.70%
Balance Sheet Strength +1.20%
Velocity +1.07%
Enterprise Yield +1.02%
ADAG stocks +0.91%
High Beta +0.68%
Low Volatility +0.39%
Quality to Price +0.32%
Tactical CNX 100 -0.00%
The RBI Restricted List -1.55%
Pretty much every investment strategy ended the week in the green. We introduced a new momentum strategy: Acceleration. Do check it out.

Equity Mutual Funds

Best
Franklin India Feeder – Franklin U.S. Opportunities Fund – Growth +3.38%
Reliance Mid & Small Cap Fund -Growth Plan -Growth Option +3.35%
Sundaram S.M.I.L.E.Fund-iNST Growth +3.29%
Sundaram S.M.I.L.E.Fund-Growth +3.29%
HSBC Midcap Equity Fund – Growth +3.27%
Mirae Asset Global Commodity Stocks – Growth Option +3.20%
MOSt Focused Midcap 30-Regular Plan-Growth Option +3.13%
Worst
Religare Invesco Monthly Income Plan – Growth Option -0.13%
ICICI Prudential Very Aggressive – Regular Plan – Growth -0.14%
Pramerica Dynamic Monthly Income Fund – Growth Option -0.17%
Principal Debt Savings Fund – MIP – Growth Option -0.18%
SBI Edge Fund – REGULAR PLAN Growth -0.20%
Reliance Vision Fund-GROWTH PLAN-Growth Option -0.20%
Religare Invesco Monthly Income Plan (MIP) Plus – Growth -0.34%

Bond Mutual Funds

Best
Baroda Pioneer Credit Opportunities Fund -Plan B-Growth Option +0.15%
DWS Premier Bond Fund – Premium Plus Plan – Growth +0.15%
Kotak Corporate Bond Fund- Standard Plan-Growth Option +0.14%
Kotak Coporate Bond Fund- Retail Plan-Growth Option +0.14%
Baroda Pioneer Credit Opportunities Fund -Plan A -Growth Option +0.13%
DWS Premier Bond Fund – Growth +0.13%
Birla Sun Life Corporate Bond Fund – Regular Plan – Growth +0.12%
Worst
IDFC GSF – Investment Plan -Regular Plan-GROWTH -0.49%
DWS Inflation Indexed Bond Fund – Regular Plan – Growth -0.50%
IDFC Dynamic Bond Fund -Regular Plan-GROWTH -0.53%
SBI INFLATION INDEXED BOND FUND – REGULAR PLAN – GROWTH -0.53%
IDFC Super Saver Income Fund- IP-Plan F Growth -0.53%
IDFC – SSIF – Investment Plan -Regular Plan- Growth Option -0.53%
IDFC Dynamic Bond Fund – Growth -0.53%

Thoughts for the weekend

Force yourself to relive the anxiety and worry of being down 5% and wondering if 20% is coming next. Remember what it was like to worry that war might break out or disease was spreading or economic collapse was around the corner. Not because this alone is a good practice, but because it is going to happen again, and sooner than you think. It happens every year like clockwork. You can’t pick a time in history that something scary wasn’t around the corner. You need to hold on to those past moment and then recognize that even though it was truly scary life moved on and markets recovered and the world didn’t, in fact, come to an end.

Source: My Dangerously Selective Memory

Categories Tags

Index Update 21.11.2015

MOMENTUM

We run our proprietary momentum scoring algorithm on indices just like we do on stocks. You can use the momentum scores of sub-indices to get a sense for which sectors have the wind on their backs and those that are facing headwinds.

Traders can pick their longs in sectors with high short-term momentum and their shorts in sectors with low momentum. Investors can use the longer lookback scores to position themselves using our re-factored index Themes.

You can see how the momentum algorithm has performed on individual stocks here.

Here are the best and the worst sub-indices:

index momentum best 365 2015-11-20 png

index momentum best 50 2015-11-20 png

index momentum worst 365 2015-11-20 png

index momentum worst 50 2015-11-20 png

Relative Strength Spread

NIFTY_500 relative-spread-index 50 2015-11-20 png

Refactored Index Performance

50-day performance, from September 04, 2015 through November 20, 2015:

Equally Weighted Market Cap. Weighted
INFRA (EQUAL) +11.95% ENERGY (CAP) +11.02%
ENERGY (EQUAL) +11.25% AUTO (CAP) +10.45%
PSU BANK (EQUAL) +8.40% CONSUMPTION (CAP) +7.05%
REALTY (EQUAL) +7.09% PSU BANK (CAP) +6.87%
FIN SERVICE (EQUAL) +5.93% BANK (CAP) +5.70%
MIDCAP LIQUID 15 (EQUAL) +5.91% MEDIA (CAP) +5.52%
PSE (EQUAL) +5.86% FIN SERVICE (CAP) +5.46%
CONSUMPTION (EQUAL) +5.82% COMMODITIES (CAP) +5.43%
COMMODITIES (EQUAL) +5.41% 00 LIQ 15 (CAP) +4.26%
BANK (EQUAL) +5.04% FMCG (CAP) +4.02%
0 VALUE 20 (EQUAL) +4.54% MIDCAP LIQUID 15 (CAP) +3.80%
AUTO (EQUAL) +4.53% REALTY (CAP) +3.54%
CPSE (EQUAL) +4.45% 0 VALUE 20 (CAP) +3.35%
SERV SECTOR (EQUAL) +4.37% PSE (CAP) +3.26%
METAL (EQUAL) +2.35% SERV SECTOR (CAP) +2.82%
00 LIQ 15 (EQUAL) +1.89% CPSE (CAP) +2.41%
FMCG (EQUAL) +0.70% MNC (CAP) +1.83%
MEDIA (EQUAL) +0.47% QUALITY 30 (CAP) +0.15%
QUALITY 30 (EQUAL) +0.44% METAL (CAP) -0.27%
GROWSECT 15 (EQUAL) +0.39% GROWSECT 15 (CAP) -0.68%
MNC (EQUAL) +0.26% INFRA (CAP) -1.63%
PHARMA (EQUAL) -0.11% IT (CAP) -2.83%
IT (EQUAL) -0.63% PHARMA (CAP) -6.74%

Trend Model Summary

Index Signal % From Peak Day of Peak
NIFTY AUTO SHORT
8.35
2015-Jan-27
NIFTY BANK SHORT
17.03
2015-Jan-27
NIFTY COMMODITIES LONG
36.30
2008-Jan-04
NIFTY CONSUMPTION SHORT
5.11
2015-Aug-05
NIFTY ENERGY SHORT
32.35
2008-Jan-14
NIFTY FIN SERVICE SHORT
15.36
2015-Jan-28
NIFTY FMCG SHORT
8.28
2015-Feb-25
NIFTY INFRA SHORT
56.17
2008-Jan-09
NIFTY IT LONG
88.36
2000-Feb-21
NIFTY MEDIA LONG
19.97
2008-Jan-04
NIFTY METAL SHORT
68.58
2008-Jan-04
NIFTY MNC SHORT
9.35
2015-Aug-10
NIFTY PHARMA LONG
15.51
2015-Apr-08
NIFTY PSE LONG
34.98
2008-Jan-04
NIFTY PSU BANK LONG
41.92
2010-Nov-05
NIFTY REALTY LONG
91.28
2008-Jan-14
NIFTY SERV SECTOR LONG
13.63
2015-Mar-03
Is there a dash-for-trash thing going on where the beaten-down, heavily leveraged sectors are finding a bid? Look at the recent performance of INFRA and ENERGY. Is this a blip or a fundamental shift?
Categories Tags , ,

Samvat 2071: Bulls made money, Bears made money…

world.2014-10-27.2015-11-10

Equities

Major
DAX(DEU) +21.68%
CAC(FRA) +19.90%
UKX(GBR) -1.39%
NKY(JPN) +27.72%
SPX(USA) +6.16%
MINTs
JCI(IDN) -11.40%
INMEX(MEX) +0.06%
NGSEINDX(NGA) -25.16%
XU030(TUR) +2.87%
BRICS
IBOV(BRA) -8.68%
SHCOMP(CHN) +58.59%
NIFTY(IND) -2.61%
INDEXCF(RUS) +25.29%
TOP40(ZAF) +10.24%

Commodities

Energy
Ethanol -15.34%
Heating Oil -40.11%
Natural Gas -34.44%
WTI Crude Oil -45.96%
Brent Crude Oil -44.91%
RBOB Gasoline -37.32%
Metals
Palladium -23.91%
Gold 100oz -11.43%
Copper -27.92%
Platinum -27.90%
Silver 5000oz -15.79%

Currencies

USDEUR:+18.07% USDJPY:+14.13%

MINTs
USDIDR(IDN) +12.05%
USDMXN(MEX) +23.36%
USDNGN(NGA) +20.74%
USDTRY(TUR) +30.43%
BRICS
USDBRL(BRA) +48.29%
USDCNY(CHN) +4.03%
USDINR(IND) +8.17%
USDRUB(RUS) +52.65%
USDZAR(ZAF) +30.19%
Agricultural
Feeder Cattle -27.98%
Lumber -23.89%
Coffee (Arabica) -39.01%
Corn -0.96%
Lean Hogs -39.92%
Soybeans -13.54%
Sugar #11 -8.29%
Cocoa +16.12%
Cotton -2.18%
Soybean Meal -22.16%
Wheat -5.69%
Cattle -24.30%
Coffee (Robusta) -21.21%
Orange Juice +8.52%
White Sugar -8.77%

International ETFs (USD)

global.etf.performance.2014-10-27.2015-11-10

Index Returns

index.performance.2014-10-27.2015-11-10

Market Cap Decile Performance

Decile Mkt. Cap. Adv/Decl
1 (micro) +29.48% 79/55
2 +42.65% 76/58
3 +11.26% 64/70
4 +19.62% 72/61
5 +15.77% 66/68
6 +18.22% 72/62
7 +13.38% 71/62
8 +15.21% 72/62
9 +11.70% 73/61
10 (mega) +5.37% 79/55
Most of the action was in the mid-and-small cap arena. Lot of dispersion, lot of good opportunities…

ETF Performance

JUNIORBEES +13.87%
BANKBEES +1.48%
NIFTYBEES -2.09%
GOLDBEES -5.69%
INFRABEES -15.20%
PSUBNKBEES -15.91%
CPSEETF -18.37%
The private sector created wealth and the public sector destroyed it.

Yield Curve

yieldCurve.2014-10-27.2015-11-10

Bond Indices

Sub Index Change in YTM Total Return(%)
0 5 -0.83 +10.59%
5 10 -0.65 +12.11%
10 15 -0.62 +13.39%
15 20 -0.62 +14.29%
20 30 -0.63 +14.97%
Raghuram Rajan magic: low inflation + falling rates = bond investor jackpot!

Investment Theme Performance

Momentum +58.79%
Financial Strength Value +50.19%
Next Trillion +24.91%
Quality to Price +16.65%
Low Volatility +15.52%
ASK Life +13.12%
Magic Formula +9.28%
Balance Sheet Strength +5.34%
Enterprise Yield +3.63%
Tactical CNX 100 +2.73%
High Beta -24.19%
ADAG stocks -26.44%
And what a momentum driven market it was. In hindsight, it was a long momentum, short high-beta market. Will momentum continue into Samvat 2072?

Equity Mutual Funds

Best
Birla Sun Life MNC Fund-Plan B (Growth) +36.08%
SBI Smal & Midcap – Regular Plan – Growth +35.54%
DSP BlackRock Micro Cap Fund – Regular – Growth +27.21%
MOSt Focused Midcap 30-Regular Plan-Growth Option +26.46%
Escorts High Yield Equity Plan – Growth Option +26.08%
UTI – MNC Fund (UGS 10000)-Growth Option +25.63%
MOSt Focused Multicap 35-Regular Plan-Growth Option +24.54%
Worst
DSP BlackRock World Energy Fund – Regular Plan – Growth -7.79%
SBI PSU Fund – REGULAR PLAN -Growth -12.66%
Sundaram Growth Fund-Growth -12.70%
Baroda Pioneer PSU Equity Fund- Plan A – Growth Option -16.55%
DSP BlackRock World Gold Fund – Regular Plan – Growth -21.32%
Mirae Asset Global Commodity Stocks – Growth Option -27.90%
DSP BlackRock World Mining Fund – Regular Plan – Growth -35.72%

Bond Mutual Funds

Best
JPMorgan India Government Securities Fund – Regular Plan – Growth Option +16.00%
SBI MAGNUM GILT FUND – LONG TERM – REGULAR PLAN – GROWTH +14.73%
BNP Paribas Government Securities Fund – Growth +14.40%
L&T Gilt Fund-Growth +14.33%
ICICI Prudential Very Cautious – Regular Plan – Growth +13.67%
UTI – GILT ADVANTAGE-LONG TERM-GROWTH +13.56%
IDFC GSF-Provident Fund-Regular Plan-Growth +13.26%
Worst
Franklin India Banking & PSU Debt Fund – Growth +8.70%
L&T Triple Ace Bond Fund-Growth Plan +8.60%
DWS Premier Bond Fund – Regular Plan-/-Growth Plan +8.27%
JM Short Term Fund..-Growth Plan +8.23%
PEERLESS FLEXIBLE INCOME FUND-GROWTH +7.73%
DWS Inflation Indexed Bond Fund- Regular Plan- Growth +2.64%
HDFC Inflation Indexed Bond Fund – Regular Growth +2.57%

Thoughts

The only way an investor would have not made decent returns in Samvat 2071 is if one:

  1. Invested in the NIFTY ETF – Active management doesn’t work!
  2. Invested based on macro – Taper Tantrum! Will RBI cut rates tomorrow?!
  3. Invested based on financial television – Price-Volume Breakout! The pundit octa-box!
  4. Invested based on tips – Call from Indore: Aap trading karti?
  5. Invested based on emotions – Oh My God! The market is crashing! Sell! The market is shooting up! Buy!
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